Results 71 to 80 of about 7,220 (197)

Nonparametric Pricing of VIX Options Using Canonical Valuation

, 2013
[[abstract]]This study presents a simple method for the price of VIX options. We employ the canonical approach to develop a pricing model of VIX options. We compare the pricing accuracy to the Whaley (1993) model.
Chang, Jung-Hsien;Chu, Hsiang-Hui;Liu, Huang-Ting
core  

Yatırımcı duyarlılığı ile ABD geleneksel ve yeşil tahvil piyasaları arasındaki bağlantılılık analizi

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Bu çalışmada, yatırımcı duyarlılığı ile ABD geleneksel ve yeşil tahvil piyasaları arasındaki dinamik bağlantılılığın incelenmesi amaçlanmıştır. Bu doğrultuda yatırımcı duyarlılığı göstergesi olarak VIX ve MOVE endeksleri, ABD geleneksel tahvil ve yeşil ...
Semra Demir
doaj   +1 more source

An empirical study of application of HAR model in forecasting VIX index

, 2018
碩士根據Corsi（2004）的異質性自我迴歸模型(HAR)及修正後HAR模型(HAR-GARCH)來探討2012年7月至2016四年半間VIX指數的波動性預測，並運用MAE、MSE統計損失函數來評估其預測績效；本研究同時加入已實現波動VIX期貨、已實現偏態、已實現峰態、已實現波動VIX指數、VIX波動率之風險溢酬等，探討是否影響VIX指數的波動性預測。 在研究期間中，透過HAR及HAR-GARCH模型能夠有效的預測樣本外VIX指數，迴歸結果發現已實現波動率VIX期貨 ...
伍躍恆;Wu, Yueh-Heng
core  

Mean-Reverting Logarithmic Modeling of VIX [PDF]

, 2013
Since March 26, 2004, when the CBOE Futures Exchange (CFE) began trading futures written on S&P500 volatility index (VIX), volatility has become a widely accepted asset class as trading, diversifying and hedging vehicle by traders, investors and ...
Bao, Qunfang
core  

ViX-MangoEFormer: An Enhanced Vision Transformer–EfficientFormer and Stacking Ensemble Approach for Mango Leaf Disease Recognition with Explainable Artificial Intelligence

Computers
Mango productivity suffers greatly from leaf diseases, leading to economic and food security issues. Current visual inspection methods are slow and subjective.
Abdullah Al Noman, Amira Hossain, Anamul Sakib, Jesika Debnath, Hasib Fardin, Abdullah Al Sakib, Rezaul Haque, Md. Redwan Ahmed, Ahmed Wasif Reza, M. Ali Akber Dewan   +9 more
doaj   +1 more source

BORSA İSTANBUL KURUMSAL YÖNETİM ENDEKSİ (XKURY) İLE KORKU ENDEKSİ (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX) ARASINDAKİ İLİŞKİNİN ANALİZİ

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2017
Bu çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) ile Korku Endeksi (Chicago Board Options Exchange Volatility Index-VIX) arasındaki uzun dönemli ilişki incelenecektir.
Veysel KULA, Ender BAYKUT
doaj  

Stock Market TVP-VAR Dynamic Connectedness and VIX Shocks Spillovers: Evidence from a Sectoral Analysis of the Fragile Five

International Entrepreneurship Review
Objective: This study investigates the cross-sectoral spillover effect and the contribution of the volatility index (VIX) in the transmission of shocks in the Fragile Five (Brazil, India, Indonesia, South Africa, and Turkey). Research Design & Methods:
Aleksandra Jurkowska, Oguzhan Ozcelebi , Kamil Fijorek   +2 more
doaj   +1 more source

The Role of Capital Flows in the International Transmission of US Monetary Policy: The Case of Turkey

Ekonomi, Politika & Finans Araştırmaları Dergisi
This article aims to examine the impacts of US monetary policy (MP) changes on the Turkish economy and to research the transmission channels through which these effects are spillovers.
Nuri Çağrı Akar, Cemil Varlık
doaj   +1 more source

VIX options in the SABR model

Operations Research Letters
We study the pricing of VIX options in the SABR model $dS_t = σ_t S_t^βdB_t, dσ_t = ωσ_t dZ_t$ where $B_t,Z_t$ are standard Brownian motions correlated with correlation $ρ<0$ and $0 \leq β< 1$. VIX is expressed as a risk-neutral conditional expectation of an integral over the volatility process $v_t = S_t^{β-1} σ_t$.
Dan Pirjol, Lingjiong Zhu
openaire   +2 more sources